INTEGRATED PUT-CALL ALGEBRAIC FORMULA

Tumellano Sebehela

《Advances in Investment Analysis and Portfolio Management》 9期 (2019/12) Pp. 113-128

https://doi.org/10.6291/AIAPM.201912_9.0005

摘要

The option side of put-call parity has been explored by prior studies but its algebraic side has not been illustrated before. This article converts put-call parity parameters into algebraic ones in order to derive transformed arbitrage-free formula. Interestingly, inverse Laplace transform and put-call parity are similar in the sense that parameters of both formulae are at least zero. The results illustrated that transformed arbitrage-free formula is discrete in nature.

關鍵字

Arbitrage ； Model ； Put-Call Parity ； Transform

參考文獻

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